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Information about:
Til Schuermann

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Personal Details

First Name: Til
Middle Name:
Last Name: Schuermann
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RePEc Short-ID: psc73

Email:
Homepage: http://nyfedeconomists.org/schuermann/
Postal Address: Federal Reserve Bank of New York 33 Liberty St. New York, NY 10045
Phone:

Affiliation

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This author is among the top 5% authors according to these criteria:
  1. Number of Abstract Views in RePEc Services over the past 12 months
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Works

| Working papers | Articles | Chapters | Books | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports 317, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:

  2. Adam B. Ashcraft & Til Schuermann, 2008. "Understanding the securitization of subprime mortgage credit," Staff Reports 318, Federal Reserve Bank of New York. [Downloadable!]

  3. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Staff Reports 291, Federal Reserve Bank of New York. [Downloadable!]
    Published as:

  4. Evan Gatev & Til Schuermann & Philip E. Strahan, 2006. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," NBER Working Papers 12234, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  5. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York. [Downloadable!]

  6. Pesaran, M.H. & Schuermann, T. & Treutler, B-J., 2005. "The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification," Cambridge Working Papers in Economics 0529, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:

  7. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Published as:

  8. Hanson, S. & Pesaran, M.H. & Schuermann, T., 2005. "Scope for Credit Risk Diversification," Cambridge Working Papers in Economics 0519, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:

  9. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," NBER Working Papers 11493, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  10. Til Schuermann & Samuel Hanson, 2004. "Estimating probabilities of default," Staff Reports 190, Federal Reserve Bank of New York. [Downloadable!]

  11. Joshua V. Rosenberg & Til Schuermann, 2004. "A general approach to integrated risk management with skewed, fat-tailed risks," Staff Reports 185, Federal Reserve Bank of New York. [Downloadable!]
    Published as:

  12. Philip E. Strahan & Evan Gatev & Til Schuermann, 2004. "How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998," NBER Working Papers 10982, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  13. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  14. Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
    Published as:

  15. Yusuf Jafry & Til Schuermann, 2003. "Metrics for Comparing Credit Migration Matrices," Center for Financial Institutions Working Papers 03-09, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  16. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2002. "Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays?," Center for Financial Institutions Working Papers 02-02, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  17. Andrew Kuritzkes & Til Schuermann & Scott M. Weiner, 2002. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates," Center for Financial Institutions Working Papers 03-02, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  18. Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
    Published as:

  19. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Published as:

  20. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Published as:

  21. Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-081, New York University, Leonard N. Stern School of Business-.
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  22. Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-062, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:

  23. Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann, 1997. "Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think," Center for Financial Institutions Working Papers 97-34, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  24. Francis X. Diebold & Til Schuermann, 1996. "Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models," NBER Technical Working Papers 0194, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  25. Francis X. Diebold & Til Schuermann, 1993. "Exact maximum likelihood estimation of ARCH models," Working Papers 93-4, Federal Reserve Bank of Philadelphia.

  26. Til Schuermann & Melvyn Weeks, . "Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation," Discussion Papers 94/18, Department of Economics, University of York.

  27. Marc Saidenberg & Til Schuermann & May, . "The New Basel Capital Accord and Questions for Research," Center for Financial Institutions Working Papers 03-14, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

Articles

  1. Evan Gatev & Til Schuermann & Philip E. Strahan, 2009. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(3), pages 995-1020, March. [Downloadable!] (restricted)
    Other versions:

  2. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June. [Downloadable!] (restricted)

  3. Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til, 2008. "Firm heterogeneity and credit risk diversification," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 583-612, September. [Downloadable!] (restricted)
    Other versions:

  4. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-18. [Downloadable!]
    Other versions:

  5. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August. [Downloadable!] (restricted)

  6. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August. [Downloadable!] (restricted)
    Other versions:

  7. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March. [Downloadable!] (restricted)
    Other versions:

  8. Evan Gatev & Til Schuermann & Philip E. Strahan, 2006. "Hedging bank liquidity risk," Proceedings, Federal Reserve Bank of Chicago, pages 189-203. [Downloadable!]

  9. Til Schuermann, 2005. "A review of recent books on credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 123-130. [Downloadable!]

  10. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2005. "Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?," Journal of Financial Services Research, Springer, vol. 27(3), pages 217-242, September. [Downloadable!] (restricted)

  11. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April. [Downloadable!] (restricted)
    Other versions:

  12. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November. [Downloadable!] (restricted)

  13. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 175-181, April. [Downloadable!] (restricted)

  14. Til Schuermann, 2004. "Why were banks better off in the 2001 recession?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Jan. [Downloadable!]

  15. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March. [Downloadable!] (restricted)
    Other versions:

  16. Gershberg, Alec Ian & Schuermann, Til, 2001. "The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico," Economics of Education Review, Elsevier, vol. 20(1), pages 27-40, February. [Downloadable!] (restricted)

  17. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon problems and extreme events in financial risk management," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 109-118. [Downloadable!]
    Other versions:

Chapters

  1. Evan Gatev & Til Schuermann & Philip Strahan, 2007. "How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998," NBER Chapters, in: The Risks of Financial Institutions, pages 105-132 National Bureau of Economic Research, Inc. [Downloadable!]

  2. M. Hashem Pesaran & Til Schuermann & Bjorn-Jakob Treutler, 2007. "Global Business Cycles and Credit Risk," NBER Chapters, in: The Risks of Financial Institutions, pages 419-474 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

NEP Fields

26 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (2) 2004-06-02 2005-04-03
  2. NEP-BAN: Banking (2) 2006-07-09 2008-04-12
  3. NEP-BEC: Business Economics (5) 2005-04-03 2005-06-05 2005-10-04 2006-05-20 2006-07-09 Author is listed
  4. NEP-CBA: Central Banking (4) 2003-05-29 2006-05-20 2008-04-12 2008-06-13
  5. NEP-CFN: Corporate Finance (4) 2003-02-03 2003-04-27 2003-05-29 2005-10-04
  6. NEP-ECM: Econometrics (3) 2002-07-10 2008-04-12 2008-06-13
  7. NEP-ETS: Econometric Time Series (3) 2002-07-04 2008-04-12 2008-06-13
  8. NEP-FIN: Finance (18) 2003-02-03 2003-04-27 2003-04-27 2003-04-27 2003-05-29 2003-06-16 2004-05-02 2004-08-09 2004-08-09 2004-12-20 2004-12-22 2005-04-03 2005-06-05 2005-06-14 2005-07-18 2005-10-04 2005-10-04 2006-05-20 Author is listed
  9. NEP-FMK: Financial Markets (7) 2005-04-03 2005-07-18 2005-10-04 2005-10-04 2006-05-20 2006-07-09 2007-08-08 Author is listed
  10. NEP-FOR: Forecasting (2) 2008-04-12 2008-06-13
  11. NEP-GEO: Economic Geography (2) 2005-06-05 2005-06-14
  12. NEP-IAS: Insurance Economics (1) 2002-04-15
  13. NEP-IFN: International Finance (1) 2002-04-15
  14. NEP-MAC: Macroeconomics (7) 2001-12-04 2003-04-27 2005-06-05 2005-06-14 2005-07-18 2005-10-04 2008-04-12 Author is listed
  15. NEP-REG: Regulation (1) 2002-04-15
  16. NEP-RMG: Risk Management (13) 2003-02-03 2003-04-27 2003-04-27 2003-04-27 2003-05-29 2004-08-09 2005-06-05 2005-06-14 2005-10-04 2005-10-04 2006-05-20 2006-07-09 2007-08-08 Author is listed
  17. NEP-URE: Urban & Real Estate Economics (3) 2005-06-05 2005-06-14 2008-04-12
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This page was last updated on 2009-11-22.

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